******************************************************************************** Trades report produced on 03/01/2024 21:37 from 02/01/2024 21:37 to 03/01/2024 21:37 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 9524 DOW caleb_strategy_v3 [20240300] 2024-01-03 15:00:42 [1] 37814.000 9517 EURIBOR-ICE caleb_strategy_v3 [20251200] 2024-01-03 09:00:49 [-1] 98.020 9518 EURIBOR-ICE caleb_strategy_v3 [20251200] 2024-01-03 09:01:29 [-1] 98.020 9516 EUROSTX caleb_strategy_v3 [20240300] 2024-01-03 08:00:32 [1] 4539.000 9520 GAS_US_mini caleb_strategy_v3 [20240300] 2024-01-03 14:01:36 [1] 2.435 9521 GAS_US_mini caleb_strategy_v3 [20240300] 2024-01-03 14:02:36 [1] 2.440 9522 GAS_US_mini caleb_strategy_v3 [20240300] 2024-01-03 14:03:36 [1] 2.450 9519 GAS_US_mini caleb_strategy_v3 [20240300] 2024-01-03 14:00:53 [1] 2.425 9525 NASDAQ_micro caleb_strategy_v3 [20240300] 2024-01-03 15:00:43 [1] 16635.000 9523 RUSSELL caleb_strategy_v3 [20240300] 2024-01-03 15:00:41 [-1] 2005.300 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 9516 EUROSTX caleb_strategy_v3 2024-01-02 2024-01-03 08:00:27.814 2024-01-03 08:00:32 115227.814 4.186 9517 EURIBOR-ICE caleb_strategy_v3 2024-01-02 2024-01-03 09:00:29.430 2024-01-03 09:00:49 118829.43 19.57 9518 EURIBOR-ICE caleb_strategy_v3 2024-01-02 2024-01-03 09:01:29.143 2024-01-03 09:01:29 118889.143 NaN 9520 GAS_US_mini caleb_strategy_v3 2024-01-02 2024-01-03 14:01:36.543 2024-01-03 14:01:36 136896.543 NaN 9521 GAS_US_mini caleb_strategy_v3 2024-01-02 2024-01-03 14:02:36.567 2024-01-03 14:02:36 136956.567 NaN 9522 GAS_US_mini caleb_strategy_v3 2024-01-02 2024-01-03 14:03:36.577 2024-01-03 14:03:36 137016.577 NaN 9519 GAS_US_mini caleb_strategy_v3 2024-01-02 2024-01-03 14:00:36.634 2024-01-03 14:00:53 136836.634 16.366 9523 RUSSELL caleb_strategy_v3 2024-01-02 2024-01-03 15:00:41.010 2024-01-03 15:00:41 140441.01 NaN 9524 DOW caleb_strategy_v3 2024-01-02 2024-01-03 15:00:41.990 2024-01-03 15:00:42 140441.99 0.01 9525 NASDAQ_micro caleb_strategy_v3 2024-01-02 2024-01-03 15:00:42.917 2024-01-03 15:00:43 140442.917 0.083 ============================================================================================================================================================================================================================ Slippage (ticks per lot) ============================================================================================================================================================================================================================ instrument_code strategy_name trade parent_reference_price parent_limit_price mid_price side_price offside_price limit_price filled_price delay bid_ask execution versus_limit versus_parent_limit total_trading 9516 EUROSTX caleb_strategy_v3 [1] 4527.0 None 4538.5 4539.0 4538.0 4538.0 4539.0 -11.5 -0.5 0.0 -1.0 NaN -0.5 9517 EURIBOR-ICE caleb_strategy_v3 [-1] 98.045 None 98.0225 98.02 98.025 98.025 98.02 -0.0225 -0.0025 -0.0 -0.005 NaN -0.0025 9518 EURIBOR-ICE caleb_strategy_v3 [-1] 98.045 None 98.0225 98.02 98.025 NaN 98.02 -0.0225 -0.0025 -0.0 NaN NaN -0.0025 9520 GAS_US_mini caleb_strategy_v3 [1] 2.375 None 2.4225 2.425 2.42 2.42 2.435 -0.0475 -0.0025 -0.01 -0.015 NaN -0.0125 9521 GAS_US_mini caleb_strategy_v3 [1] 2.375 None 2.4325 2.435 2.43 2.43 2.44 -0.0575 -0.0025 -0.005 -0.01 NaN -0.0075 9522 GAS_US_mini caleb_strategy_v3 [1] 2.375 None 2.4375 2.44 2.435 2.435 2.45 -0.0625 -0.0025 -0.01 -0.015 NaN -0.0125 9519 GAS_US_mini caleb_strategy_v3 [1] 2.375 None 2.4175 2.42 2.415 2.415 2.425 -0.0425 -0.0025 -0.005 -0.01 NaN -0.0075 9523 RUSSELL caleb_strategy_v3 [-1] 2025.9 None 2005.2 2005.1 2005.3 2005.3 2005.3 -20.7 -0.1 0.2 -0.0 NaN 0.1 9524 DOW caleb_strategy_v3 [1] 37858.0 None 37813.0 37814.0 37812.0 37812.0 37814.0 45.0 -1.0 0.0 -2.0 NaN -1.0 9525 NASDAQ_micro caleb_strategy_v3 [1] 16636.0 None 16632.25 16632.5 16632.0 16632.0 16635.0 3.75 -0.25 -2.5 -3.0 NaN -2.75 ============================================================================================================================================================== Slippage (normalised by annual vol, BP of annual SR) ============================================================================================================================================================== instrument_code strategy_name trade last_annual_vol delay_vol bid_ask_vol execution_vol versus_limit_vol versus_parent_limit_vol total_trading_vol 9516 EUROSTX caleb_strategy_v3 [1] 541.75308 -212.273828 -9.229297 0.0 -18.458594 NaN -9.229297 9517 EURIBOR-ICE caleb_strategy_v3 [-1] 1.033968 -217.608222 -24.178691 -0.0 -48.357383 NaN -24.178691 9518 EURIBOR-ICE caleb_strategy_v3 [-1] 1.033968 -217.608222 -24.178691 -0.0 NaN NaN -24.178691 9520 GAS_US_mini caleb_strategy_v3 [1] 1.779315 -266.956597 -14.050347 -56.201389 -84.302083 NaN -70.251736 9521 GAS_US_mini caleb_strategy_v3 [1] 1.779315 -323.157986 -14.050347 -28.100694 -56.201389 NaN -42.151042 9522 GAS_US_mini caleb_strategy_v3 [1] 1.779315 -351.258681 -14.050347 -56.201389 -84.302083 NaN -70.251736 9519 GAS_US_mini caleb_strategy_v3 [1] 1.779315 -238.855903 -14.050347 -28.100694 -56.201389 NaN -42.151042 9523 RUSSELL caleb_strategy_v3 [-1] 467.165718 -443.097582 -2.140568 4.281136 -0.0 NaN 2.140568 9524 DOW caleb_strategy_v3 [1] 3905.552003 115.220588 -2.560458 0.0 -5.120915 NaN -2.560458 9525 NASDAQ_micro caleb_strategy_v3 [1] 2487.051209 15.078097 -1.005206 -10.052065 -12.062478 NaN -11.057271 ======================================================================================================================================================================= Slippage (In base currency) ======================================================================================================================================================================= instrument_code strategy_name trade value_of_price_point delay_cash bid_ask_cash execution_cash versus_limit_cash versus_parent_limit_cash total_trading_cash 9516 EUROSTX caleb_strategy_v3 [1] 10.956 -125.994 -5.478 0.0 -10.956 NaN -5.478 9517 EURIBOR-ICE caleb_strategy_v3 [-1] 2739.0 -61.6275 -6.8475 -0.0 -13.695 NaN -6.8475 9518 EURIBOR-ICE caleb_strategy_v3 [-1] 2739.0 -61.6275 -6.8475 -0.0 NaN NaN -6.8475 9520 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -118.75 -6.25 -25.0 -37.5 NaN -31.25 9521 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -143.75 -6.25 -12.5 -25.0 NaN -18.75 9522 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -156.25 -6.25 -25.0 -37.5 NaN -31.25 9519 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -106.25 -6.25 -12.5 -25.0 NaN -18.75 9523 RUSSELL caleb_strategy_v3 [-1] 5.0 -103.5 -0.5 1.0 -0.0 NaN 0.5 9524 DOW caleb_strategy_v3 [1] 0.5 22.5 -0.5 0.0 -1.0 NaN -0.5 9525 NASDAQ_micro caleb_strategy_v3 [1] 2.0 7.5 -0.5 -5.0 -6.0 NaN -5.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 DOW 22.5 EURIBOR-ICE -123.255 EUROSTX -125.994 GAS_US_mini -525.0 NASDAQ_micro 7.5 RUSSELL -103.5 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -847.749 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 DOW -0.5 EURIBOR-ICE -13.695 EUROSTX -5.478 GAS_US_mini -25.0 NASDAQ_micro -0.5 RUSSELL -0.5 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -45.673 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 DOW 0.0 EURIBOR-ICE -0.0 EUROSTX 0.0 GAS_US_mini -75.0 NASDAQ_micro -5.0 RUSSELL 1.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -79.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 DOW -1.0 EURIBOR-ICE -13.695 EUROSTX -10.956 GAS_US_mini -125.0 NASDAQ_micro -6.0 RUSSELL -0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -156.651 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 DOW 0 EURIBOR-ICE 0 EUROSTX 0 GAS_US_mini 0 NASDAQ_micro 0 RUSSELL 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code caleb_strategy_v3 DOW -0.5 EURIBOR-ICE -13.695 EUROSTX -5.478 GAS_US_mini -100.0 NASDAQ_micro -5.5 RUSSELL 0.5 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -124.673 ******************************************************************************** END OF REPORT ********************************************************************************